SPDR MSCI Correlations

WOSC Etf

USD 107.08 1.28 1.18%

The current 90-days correlation between SPDR MSCI World and SPDR MSCI Europe is 0.75 (i.e., Poor diversification). The correlation of SPDR MSCI is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

SPDR MSCI Correlation With Market

Almost no diversification

The correlation between SPDR MSCI World and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPDR MSCI World and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to SPDR MSCI could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SPDR MSCI when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back SPDR MSCI - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling SPDR MSCI World to buy it.

Moving together with SPDR Etf

0.87	IJPE	iShares MSCI Japan	Pair Corr
0.87	FUSD	Fidelity Quality Income	Pair Corr
0.83	EGUSAS	UBS Fund Solutions	Pair Corr
0.86	XMJP	Xtrackers MSCI Japan	Pair Corr
0.77	IBZL	iShares MSCI Brazil	Pair Corr
0.86	SJPA	iShares Core MSCI	Pair Corr
0.84	EMMUSA	UBSFund Solutions MSCI	Pair Corr
0.83	ZSILUS	ZKB Silver ETF	Pair Corr
0.89	C50	Amundi Index Solutions	Pair Corr
0.92	EMUCHF	UBSFund Solutions MSCI	Pair Corr
0.91	SPICHA	UBS ETF SPI	Pair Corr
0.79	CCEUA	UBS Fund Solutions	Pair Corr
0.9	AUCO	LG Gold Mining	Pair Corr
0.91	SWDA	iShares Core MSCI	Pair Corr
0.82	RGLDOH	Raiffeisen ETF Solid	Pair Corr
0.92	MIDD	iShares FTSE 250	Pair Corr
0.84	HMWO	HSBC MSCI World	Pair Corr
0.95	IMEU	iShares Core MSCI	Pair Corr
0.91	XGSD	Xtrackers Stoxx Global	Pair Corr
0.78	AUCO2	Helveteq Swiss Green	Pair Corr
0.87	FACH	Invesco High Yield	Pair Corr
0.88	X7PS	Invesco STOXX Europe	Pair Corr
0.84	CSUK	iShares VII PLC	Pair Corr
0.87	TPXY	Amundi Index Solutions	Pair Corr
0.81	AWSRIA	UBS ETF plc	Pair Corr
0.86	JEST	JPM EUR Ultra	Pair Corr
0.9	EUFM	UBSFund Solutions MSCI	Pair Corr
0.82	GLDVD	UBS ETF plc	Pair Corr
0.62	WENE	iShares MSCI World	Pair Corr
0.82	ZPLA	ZKB Platinum ETF	Pair Corr
0.95	EMUEUA	UBSFund Solutions MSCI	Pair Corr
0.84	E909	Lyxor 1 DAX	Pair Corr
0.93	CSSX5E	iShares VII PLC	Pair Corr
0.93	EMUUSD	UBSFund Solutions MSCI	Pair Corr

Related Correlations Analysis

	EVAL	SXLU	STPX	EMAS	GLAC	SXLF	TBIL	STNX	SMCX
EVAL		-0.34	0.96	0.78	-0.64	0.49	0.97	0.43	0.96	EVAL
SXLU	-0.34		-0.17	-0.01	0.76	-0.75	-0.27	0.46	-0.34	SXLU
STPX	0.96	-0.17		0.89	-0.51	0.29	0.96	0.58	0.95	STPX
EMAS	0.78	-0.01	0.89		-0.33	0.11	0.8	0.62	0.86	EMAS
GLAC	-0.64	0.76	-0.51	-0.33		-0.56	-0.62	0.04	-0.59	GLAC
SXLF	0.49	-0.75	0.29	0.11	-0.56		0.37	-0.39	0.49	SXLF
TBIL	0.97	-0.27	0.96	0.8	-0.62	0.37		0.46	0.94	TBIL
STNX	0.43	0.46	0.58	0.62	0.04	-0.39	0.46		0.38	STNX
SMCX	0.96	-0.34	0.95	0.86	-0.59	0.49	0.94	0.38		SMCX
	EVAL	SXLU	STPX	EMAS	GLAC	SXLF	TBIL	STNX	SMCX

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

TBIL	+ 0.97	EVAL
STPX	+ 0.96	EVAL
SMCX	+ 0.96	EVAL
TBIL	+ 0.96	STPX
SMCX	+ 0.95	STPX
SMCX	+ 0.94	TBIL

High negative correlations

SXLF	- 0.75	SXLU
GLAC	- 0.64	EVAL
TBIL	- 0.62	GLAC
SMCX	- 0.59	GLAC
SXLF	- 0.56	GLAC
GLAC	- 0.51	STPX

SPDR MSCI Constituents Risk-Adjusted Indicators

There is a big difference between SPDR Etf performing well and SPDR MSCI ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze SPDR MSCI's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
EVAL	0.54	0.14	0.10	0.56	0.58	(0.64)	1.60	(1.36)	4.17
SXLU	0.70	0.08	0.00	(0.26)	0.71	(0.80)	1.42	(1.31)	3.07
STPX	0.74	0.17	0.10	0.37	0.95	(0.87)	1.55	(1.64)	6.69
EMAS	0.80	0.05	0.01	0.18	1.06	(0.78)	1.64	(1.81)	5.97
GLAC	0.12	(0.01)	0.00	(1.47)	0.00	0.00	0.26	(0.25)	0.65
SXLF	0.66	(0.02)	0.00	0.23	0.00	0.00	1.24	(1.54)	5.07
TBIL	0.03	0.01	(1.43)	(0.63)	0.00	(0.04)	0.07	(0.04)	0.20
STNX	0.92	0.09	0.03	0.55	1.04	(1.05)	1.84	(1.77)	5.82
SMCX	0.61	0.08	0.05	0.26	0.79	(0.67)	1.41	(1.64)	4.17

Be your own money manager

Our tools can tell you how much better you can do entering a position in SPDR MSCI without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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